Wenger, who has also failed to see his side score in the past two meetings, does not want to again be left with regrets over handling the combative striker.
Talking about dealing with Costa, Wenger said: “We need to be completely cold-blooded and just focused on our game and not respond to him.
“You need to be committed and respect the rules of the game by not responding.
“I believe last year we were a bit unlucky at Chelsea to be down to ten men because he was suspended after.
“In the second game we deserved the red card, we were caught on a quality run by him."